Estimation of the lead-lag parameter from non-synchronous data

DOI10.3150/11-BEJ407MaRDI QIDQ1952430zbMATH OpenFDO

Authors Mathieu Rosenbaum, Nakahiro Yoshida, M. Hoffmann

Publication date 30 May 2013

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1303.4871, https://projecteuclid.org/euclid.bj/1363192034

zbMATH Keywords

contrast estimationdiscretely observed continuous-time processesHayashi-Yoshida covariation estimatorlead-lag effect

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80)

Abstract: We propose a simple continuous time model for modeling the lead-lag effect between two financial assets. A two-dimensional process $(X_t,Y_t)$ reproduces a lead-lag effect if, for some time shift $varthetainmathbbR$, the process $(X_t,Y_{t+vartheta})$ is a semi-martingale with respect to a certain filtration. The value of the time shift $vartheta$ is the lead-lag parameter. Depending on the underlying filtration, the standard no-arbitrage case is obtained for $vartheta=0$. We study the problem of estimating the unknown parameter $varthetainmathbbR$, given randomly sampled non-synchronous data from $(X_t)$ and $(Y_t)$. By applying a certain contrast optimization based on a modified version of the Hayashi-Yoshida covariation estimator, we obtain a consistent estimator of the lead-lag parameter, together with an explicit rate of convergence governed by the sparsity of the sampling design.

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Cited in

(13)

• Inference for time-varying lead-lag relationships from ultra-high-frequency data
• Estimation of the lead-lag parameter between two stochastic processes driven by fractional Brownian motions
• Wavelet-based methods for high-frequency lead-lag analysis
• On the asymptotic structure of Brownian motions with a small lead-lag effect
• Ultra-high-frequency lead-lag relationship and information arrival
• An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps
• Direct estimation of lead-lag relationships using multinomial dynamic time warping
• Some limit theorems for Hawkes processes and application to financial statistics
• On the limiting spectral distribution of the covariance matrices of time-lagged processes
• High-Frequency Lead-Lag Effects and Cross-Asset Linkages: A Multi-Asset Lagged Adjustment Model
• No arbitrage and lead-lag relationships
• Estimation of correlation between latent processes
• Review of statistical approaches for modeling high-frequency trading data

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